Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Concepção de uma pequena turbina eólica destinada ao segmento doméstico (simplificação e análise aerodinâmica das pás)

O trabalho que se apresenta incide sobre o estudo aerodinâmico das pás de uma turbina eólica de pequeno porte, com vista à simplificação geométrica, de forma a que estas sejam baratas e de fácil concepção. A teoria da quantidade de movimento do elemento de pá (BEMT), que é o modelo de referência para o projecto e análise aerodinâmica das pás das turbinas eólicas, foi utilizada neste trabalho de forma a projectar e analisar aerodinamicamente as pás da turbina. Sendo assim, desenvolveu-se um programa computacional em MATLAB, denominado de “Turbina”, de forma a implementar a teoria BEM. Introduzindo os dados dos parâmetros de projecto no programa (potência requerida, o número de pás, velocidade do vento, a TSR e o tipo de perfil alar), obtêm-se os parâmetros geométricos das pás (distribuição da corda ao longo da envergadura, o raio da pá e a distribuição da torção da pá), os parâmetros aerodinâmicos e de desempenho. Uma pá ideal foi calculada e de seguida foi modificada de forma a obter-se uma pá simples e menos carregada aerodinamicamente. Introduzidas as modificações na geometria da pá ideal, obtiveram-se duas configurações distintas. Uma configuração linear, onde a distribuição da corda e do ângulo de torção se tornam lineares, e outra configuração bi-linear, onde a distribuição da corda continua linear mas o ângulo de torção se torna bi-linear, isto é, a pá é composta por dois troços onde cada troço apresenta uma distribuição linear do ângulo de torção geométrica. As conclusões demonstram que a configuração bi-linear é uma boa alternativa a configuração ideal, apresentando uma redução do desempenho do rotor de 2.8% para um aumento do raio da pá em 1.41%, para se obter a mesma potência da configuração ideal. A análise aos perfis alares, utilizados neste trabalho, foi efectuada a partir dos programas comerciais ICEM e FLUENT. De forma a automatizar a análise de CFD, três programas foram desenvolvidos utilizando a linguagem de programação “C”. Os programas são denominados de “Malha2D”, “Calcula_Coeficientes” e “Plot_Graficos”. Finalmente, um estudo paramétrico foi feito de forma a avaliar a influências das variáveis de projecto no desempenho geral da turbina.

Desilication of MOR zeolite: Conventional versus microwave assisted heating

MOR zeolites were modified via desilication treatments with NaOH, under conventional and microwave heating. The samples were characterized by powder X-ray diffraction, (27)Al and (29)Si NMR spectroscopy. TEM and N(2) adsorption at -196 degrees C. The acidity of the samples and the space available inside the pores were evaluated through a catalytic model reaction, the isomerization of m-xylene, for which the profiles of the coke thermal decomposition were also analyzed. Powder X-ray diffraction and (29)Si and (27)Al MNR results show that in comparison with conventional heating, microwave irradiation (a less time consuming process) leads to identical amount of Si extraction from the zeolite framework. With this treatment. in addition to the customary mesopores development promoted by conventional heating, a partial conversion of the zeolite microporosity into larger micropores, is observed. The microwave irradiated and conventionally heated samples show different catalytic behavior in the m-xylene isomerization model reaction. It was observed that, by controlling the experimental conditions, it is possible to obtain samples with catalytic properties closer to the parent material, which is also confirmed by the respective coke analysis. (C) 2011 Elsevier B.V. All rights reserved.

Accessing indoor fungal contamination using conventional and molecular methods in Portuguese poultries

Epidemiological studies showed increased prevalence of respiratory symptoms and adverse changes in pulmonary function parameters in poultry workers, corroborating the increased exposure to risk factors, such as fungal load and their metabolites. This study aimed to determine the occupational exposure threat due to fungal contamination caused by the toxigenic isolates belonging to the complex of the species of Aspergillus flavus and also isolates fromAspergillus fumigatus species complex. The study was carried out in seven Portuguese poultries, using cultural and molecularmethodologies. For conventional/cultural methods, air, surfaces, and litter samples were collected by impaction method using the Millipore Air Sampler. For the molecular analysis, air samples were collected by impinger method using the Coriolis μ air sampler. After DNA extraction, samples were analyzed by real-time PCR using specific primers and probes for toxigenic strains of the Aspergillus flavus complex and for detection of isolates from Aspergillus fumigatus complex. Through conventional methods, and among the Aspergillus genus, different prevalences were detected regarding the presence of Aspergillus flavus and Aspergillus fumigatus species complexes, namely: 74.5 versus 1.0% in the air samples, 24.0 versus 16.0% in the surfaces, 0 versus 32.6% in new litter, and 9.9 versus 15.9%in used litter. Through molecular biology, we were able to detect the presence of aflatoxigenic strains in pavilions in which Aspergillus flavus did not grow in culture. Aspergillus fumigatus was only found in one indoor air sample by conventional methods. Using molecular methodologies, however, Aspergillus fumigatus complex was detected in seven indoor samples from three different poultry units. The characterization of fungal contamination caused by Aspergillus flavus and Aspergillus fumigatus raises the concern of occupational threat not only due to the detected fungal load but also because of the toxigenic potential of these species.

An Interface to Retrieve Personal Memories Using an Iconic Visual Language

Relevant past events can be remembered when visualizing related pictures. The main difficulty is how to find these photos in a large personal collection. Query definition and image annotation are key issues to overcome this problem. The former is relevant due to the diversity of the clues provided by our memory when recovering a past moment and the later because images need to be annotated with information regarding those clues to be retrieved. Consequently, tools to recover past memories should deal carefully with these two tasks. This paper describes a user interface designed to explore pictures from personal memories. Users can query the media collection in several ways and for this reason an iconic visual language to define queries is proposed. Automatic and semi-automatic annotation is also performed using the image content and the audio information obtained when users show their images to others. The paper also presents the user interface evaluation based on tests with 58 participants.

Complementarity of conventional and molecular methods in the assessment of fungal contamination caused by Aspergillus fumigatus complex in one Portuguese composting plant

The handling of waste and compost that occurs frequently in composting plants (compost turning, shredding, and screening) has been shown to be responsible for the release of dust and air borne microorganisms and their compounds in the air. Thermophilic fungi, such as A. fumigatus, have been reported and this kind of contamination in composting facilities has been associated with increased respiratory symptoms among compost workers. This study intended to characterize fungal contamination in a totally indoor composting plant located in Portugal. Besides conventional methods, molecular biology was also applied to overcome eventual limitations.

Between theory and practice – teaching maths to elementary school students in Poland

The development of children's school achievements in mathematics is one of the most important aims of education in Poland. The results of research concerning monitoring of school achievements in maths is not optimistic. We can observe low levels of children’s understanding of the merits of maths, self-developed strategies in solving problems and practical usage of maths skills. This article frames the discussion of this problem in its psychological and didactic context and analyses the causes as they relate to school practice in teaching maths

Microscopic Theory of Anchoring Transitions at the Surfaces of Pure Liquid-Crystals and their Mixtures .1. The Fowler Approximation

We have generalized earlier work on anchoring of nematic liquid crystals by Sullivan, and Sluckin and Poniewierski, in order to study transitions which may occur in binary mixtures of nematic liquid crystals as a function of composition. Microscopic expressions have been obtained for the anchoring energy of (i) a liquid crystal in contact with a solid aligning surface; (ii) a liquid crystal in contact with an immiscible isotropic medium; (iii) a liquid crystal mixture in contact with a solid aligning surface. For (iii), possible phase diagrams of anchoring angle versus dopant concentration have been calculated using a simple liquid crystal model. These exhibit some interesting features including re-entrant conical anchoring, for what are believed to be realistic values of the molecular parameters. A way of relaxing the most drastic approximation implicit in the above approach is also briefly discussed.

Simulation and theory of hybrid aligned liquid crystal films

We present a study of the effects of nanoconfinement on a system of hard Gaussian overlap particles interacting with planar substrates through the hard-needle-wall potential, extending earlier work by two of us [D. J. Cleaver and P. I. C. Teixeira, Chem. Phys. Lett. 338, 1 (2001)]. Here, we consider the case of hybrid films, where one of the substrates induces strongly homeotropic anchoring, while the other favors either weakly homeotropic or planar anchoring. These systems are investigated using both Monte Carlo simulation and density-functional theory, the latter implemented at the level of Onsager's second-virial approximation with Parsons-Lee rescaling. The orientational structure is found to change either continuously or discontinuously depending on substrate separation, in agreement with earlier predictions by others. The theory is seen to perform well in spite of its simplicity, predicting the positional and orientational structure seen in simulations even for small particle elongations.

Neural-network approach to modeling liquid crystals in complex confinement

Finding the structure of a confined liquid crystal is a difficult task since both the density and order parameter profiles are nonuniform. Starting from a microscopic model and density-functional theory, one has to either (i) solve a nonlinear, integral Euler-Lagrange equation, or (ii) perform a direct multidimensional free energy minimization. The traditional implementations of both approaches are computationally expensive and plagued with convergence problems. Here, as an alternative, we introduce an unsupervised variant of the multilayer perceptron (MLP) artificial neural network for minimizing the free energy of a fluid of hard nonspherical particles confined between planar substrates of variable penetrability. We then test our algorithm by comparing its results for the structure (density-orientation profiles) and equilibrium free energy with those obtained by standard iterative solution of the Euler-Lagrange equations and with Monte Carlo simulation results. Very good agreement is found and the MLP method proves competitively fast, flexible, and refinable. Furthermore, it can be readily generalized to the richer experimental patterned-substrate geometries that are now experimentally realizable but very problematic to conventional theoretical treatments.

As políticas e práticas culturais no seio da Rede Nacional de Teatros e Cineteatros

Artigo baseado na comunicação proferida no 7º Congresso SOPCOM: Comunicação Global, Cultura e Tecnologia, realizado na Faculdade de Letras da Universidade do Porto, Porto, Portugal, 15 -17 dezembro de 2011

James W. Carey as critical theorist of the information age

This paper suggests that the thought of the North-American critical theorist James W. Carey provides a relevant perspective on communication and technology. Having as background American social pragmatism and progressive thinkers of the beginning of the 20th century (as Dewey, Mead, Cooley, and Park), Carey built a perspective that brought together the political economy of Harold A. Innis, the social criticism of David Riesman and Charles W. Mills and incorporated Marxist topics such as commodification and sociocultural domination. The main goal of this paper is to explore the connection established by Carey between modern technological communication and what he called the “transmissive model”, a model which not only reduces the symbolic process of communication to instrumentalization and to information delivery, but also politically converges with capitalism as well as power, control and expansionist goals. Conceiving communication as a process that creates symbolic and cultural systems, in which and through which social life takes place, Carey gives equal emphasis to the incorporation processes of communication.If symbolic forms and culture are ways of conditioning action, they are also influenced by technological and economic materializations of symbolic systems, and by other conditioning structures. In Carey’s view, communication is never a disembodied force; rather, it is a set of practices in which co-exist conceptions, techniques and social relations. These practices configure reality or, alternatively, can refute, transform and celebrate it. Exhibiting sensitiveness favourable to the historical understanding of communication, media and information technologies, one of the issues Carey explored most was the history of the telegraph as an harbinger of the Internet, of its problems and contradictions. For Carey, Internet was seen as the contemporary heir of the communications revolution triggered by the prototype of transmission technologies, namely the telegraph in the 19th century. In the telegraph Carey saw the prototype of many subsequent commercial empires based on science and technology, a pioneer model for complex business management; an example of conflict of interest for the control over patents; an inducer of changes both in language and in structures of knowledge; and a promoter of a futurist and utopian thought of information technologies. After a brief approach to Carey’s communication theory, this paper focuses on his seminal essay "Technology and ideology. The case of the telegraph", bearing in mind the prospect of the communication revolution introduced by Internet. We maintain that this essay has seminal relevance for critically studying the information society. Our reading of it highlights the reach, as well as the problems, of an approach which conceives the innovation of the telegraph as a metaphor for all innovations, announcing the modern stage of history and determining to this day the major lines of development in modern communication systems.

Beyond methodological nationalism: The contribution of Robert E. Park to the history of intercultural communication

The legacy of nineteenth century social theory followed a “nationalist” model of society, assuming that analysis of social realities depends upon national boundaries, taking the nation-state as the primary unit of analysis, and developing the concept of methodological nationalism. This perspective regarded the nation-state as the natural - and even necessary - form of society in modernity. Thus, the constitution of large cities, at the end of the 19th century, through the intense flows of immigrants coming from diverse political and linguistic communities posed an enormous challenge to all social research. One of the most significant studies responding to this set of issues was The Immigrant Press and its Control, by Robert E. Park, one of the most prominent American sociologists of the first half of the 20th century. The Immigrant Press and its Control was part of a larger project entitled Americanization Studies: The Acculturation of Immigrant Group into American Society, funded by the Carnagie Corporation following World War I, taking as its goal to study the so-called “Americanization methods” during the 1920s. This paper revisits that particular work by Park to reveal how his detailed analysis of the role of the immigrant press overcame the limitations of methodological nationalism. By granting importance to language as a tool uniting each community and by showing how the strength of foreign languages expressed itself through the immigrant press, Park demonstrated that the latter produces a more ambivalent phenomenon than simply the assimilation of immigrants. On the one hand, the immigrant press served as a connecting force, driven by the desire to preserve the mother tongue and culture while at the same time awakening national sentiments that had, until then, remained diffuse. Yet, on the other hand, it facilitated the adjustment of immigrants to the American context. As a result, Park’s work contributes to our understanding of a particular liminal moment inherent within many intercultural contexts, the space between emigrant identity (emphasizing the country of origin) and immigrant identity (emphasizing the newly adopted country). His focus on the role played by media in the socialization of immigrant groups presaged later work on this subject by communication scholars. Focusing attention on Park’s research leads to other studies of the immigrant experience from the same period (e.g., Thomas & Znaniecki, The Polish Peasant in Europe and America), and also to insights on multi-presence and interculturality as significant but often overlooked phenomena in the study of immigrant socialization.

Neural-network approach to modeling liquid crystals in complex confinement

Finding the structure of a confined liquid crystal is a difficult task since both the density and order parameter profiles are nonuniform. Starting from a microscopic model and density-functional theory, one has to either (i) solve a nonlinear, integral Euler-Lagrange equation, or (ii) perform a direct multidimensional free energy minimization. The traditional implementations of both approaches are computationally expensive and plagued with convergence problems. Here, as an alternative, we introduce an unsupervised variant of the multilayer perceptron (MLP) artificial neural network for minimizing the free energy of a fluid of hard nonspherical particles confined between planar substrates of variable penetrability. We then test our algorithm by comparing its results for the structure (density-orientation profiles) and equilibrium free energy with those obtained by standard iterative solution of the Euler-Lagrange equations and with Monte Carlo simulation results. Very good agreement is found and the MLP method proves competitively fast, flexible, and refinable. Furthermore, it can be readily generalized to the richer experimental patterned-substrate geometries that are now experimentally realizable but very problematic to conventional theoretical treatments.